Derivatives Metrics

Derivatives Risk Endpoint

What is this endpoint for?

This endpoint can be used to analyze risk and price related to derivatives, such as open interest, funding rates, and mark price.

Endpoints

gateway-v0-grpc.kaiko.ovh

Parameters

ParameterDescriptionExamples

instrumentCriteria

A nested object to configure following properties for your stream:

  • exchange (String) - The code(s) for the exchange(s)

  • instrument_class (String) - The class(es) of the instrument(s) . The instrument must be a derivative class.

  • code (String) - The Kaiko code for the instrument.

cbse

option

algo-btc

commodities

Can be either SDICK_RISK or SDICK_PRICE. If not specified in the parameters, both risk and price will be delivered.

SDICK_RISK

Configuring a wildcard

A wildcard allows you to request all information we have on a specific instrument or exchange in the same stream. Use a * in place of the relevant exchange or class parameter.

For example, the configuration below would deliver all perpetual future contracts on OkEX. exchange: okex class: perpetual-future instrument: *

Fields

FieldDescriptionExample

Value

The value for the commodity (price, 24 hour volume etc) received in the message.

59583.2

commodityKind

Explains whether the received message contains data on risk or price.

SDICK_RISK or SDICK_PRICE

tsCollection

The timestamp for when Kaiko received the trade from the exchange.

2024-08-30T10:19:38.044166107Z

tsEvent

The timestamp for the interval.

2024-08-30T10:19:39.206955912Z

commodity: 24h_volume

The volume of the trades executed in the last 24 hours (can be in base_asset, quote_asset or the number of contracts)

5270648

commodity: open_interest

The total oustanding number of contracts (units in which open interest metrics are quoted vary by exchange)

1127623

commodity: funding_rate

perpetual-future only. The current funding rate.

-0.0000756735759807

commodity: predicted_funding_rate

perpetual-future only. The predicted funding rate for the next period.

-0.0000845044644161

commodity: time_to_expiry

future & option only. The number of minutes remaining before expiry.

41504

commodity: nearby

future & option only. The soonest expiring contract with the same base & quote asset on the specified exchange

boolean value

commodity: quarterly_nearby

future & option only. The soonest expiring quarterly contract with the same base & quote asset on the specified exchange

boolean value

commodity: ask_iv

option only. Implied volatility for the best ask.

57.5

commodity: bid_iv

option only. Implied volatility for the best bid.

65.4

commodity: mark_iv

option only. The implied volatility for the mark price.

69.42

commodity: delta

option only. The delta value for the option.

0.8841

commodity: gamma

option only. The gamma value for the option.

0.00003

commodity: rho

option only. The rho value for the option.

21.26122

commodity: theta

option only. The theta value for the option.

-26.18193

commodity: vega

option only. The vega value for the option.

2.36321

commodity: index_price

The price of the underlying index, often as a weighted average across multiple exchanges' spot prices

39713.3

commodity: mark_price

The mark price of the contract. It is used for calculating profit and loss (PnL) and liquidation price. Designed to be fair and avoid price manipulation.

39745.9

price

Most recent traded price of derivative contract

39767

Request examples

# This is a code example. Configure your parameters in the parameter configuration section #

from __future__ import print_function
import logging
import os

import grpc
from google.protobuf.json_format import MessageToJson
from google.protobuf import duration_pb2

from kaikosdk import sdk_pb2_grpc
from kaikosdk.core import instrument_criteria_pb2, assets_pb2
from kaikosdk.stream.aggregates_ohlcv_v1 import request_pb2 as pb_ohlcv
from kaikosdk.stream.aggregates_vwap_v1 import request_pb2 as pb_vwap
from kaikosdk.stream.market_update_v1 import request_pb2 as pb_market_update
from kaikosdk.stream.market_update_v1 import commodity_pb2 as pb_commodity
from kaikosdk.stream.trades_v1 import request_pb2 as pb_trades
from kaikosdk.stream.index_v1 import request_pb2 as pb_index
from kaikosdk.stream.index_multi_assets_v1 import request_pb2 as pb_index_multi_assets
from kaikosdk.stream.index_forex_rate_v1 import request_pb2 as pb_index_forex_rate
from kaikosdk.stream.aggregated_quote_v2 import request_pb2 as pb_aggregated_quote
from kaikosdk.stream.aggregates_spot_exchange_rate_v2 import request_pb2 as pb_spot_exchange_rate
from kaikosdk.stream.aggregates_direct_exchange_rate_v2 import request_pb2 as pb_direct_exchange_rate
from kaikosdk.stream.derivatives_instrument_metrics_v1 import request_pb2 as pb_derivatives_instrument_metrics
from kaikosdk.stream.iv_svi_parameters_v1 import request_pb2 as pb_iv_svi_parameters



def derivatives_instrument_metrics_request(channel: grpc.Channel):
    try:
        with channel:
            stub = sdk_pb2_grpc.StreamDerivativesInstrumentMetricsServiceV1Stub(channel)

            responses = stub.Subscribe(pb_derivatives_instrument_metrics.StreamDerivativesInstrumentMetricsRequestV1(
                instrument_criteria = instrument_criteria_pb2.InstrumentCriteria(
                # Start of parameter configuration #
                    exchange = "okex",
                    instrument_class = "perpetual-future",
                    code = "btc-usdt"
                ),
                commodities = [
                "SDICK_RISK"
            ]
            ))
                # End of parameter configuration #
            for response in responses:
                print("Received message %s" % (MessageToJson(response, including_default_value_fields = True)))
    except grpc.RpcError as e:
        print(e.details(), e.code())


def run():
    credentials = grpc.ssl_channel_credentials(root_certificates=None)
    call_credentials = grpc.access_token_call_credentials(os.environ['KAIKO_API_KEY'])
    composite_credentials = grpc.composite_channel_credentials(credentials, call_credentials)
    channel = grpc.secure_channel('gateway-v0-grpc.kaiko.ovh', composite_credentials)

    derivatives_instrument_metrics_request(channel)

if __name__ == '__main__':
    logging.basicConfig()
    run()

Response Example

{
  "value": "59583.2",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.206163940Z"
}
Received message {
  "value": "59583.2",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.206955912Z"
}
Received message {
  "value": "11535825.5",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "24h_volume",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.207546652Z"
}
Received message {
  "value": "790.1",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.208695629Z"
}
Received message {
  "value": "897",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.210232016Z"
}
Received message {
  "value": "59583.3",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.044166107Z",
  "tsEvent": "2024-08-30T10:19:39.212439076Z"
}
Received message {
  "value": "59583.1",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "mark_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.185367876Z",
  "tsEvent": "2024-08-30T10:19:39.375230934Z"
}
Received message {
  "value": "59668.3",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.025248460Z",
  "tsEvent": "2024-08-30T10:19:39.399709655Z"
}
Received message {
  "value": "2271074.10000000232",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "open_interest",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.159174620Z",
  "tsEvent": "2024-08-30T10:19:39.412327615Z"
}
Received message {
  "value": "59642.8",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.183331628Z",
  "tsEvent": "2024-08-30T10:19:39.417789878Z"
}
Received message {
  "value": "59589.8",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:38.315614613Z",
  "tsEvent": "2024-08-30T10:19:39.453857128Z"
}
Received message {
  "value": "-0.0000001014222837",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "funding_rate",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:38.619825764Z",
  "tsEvent": "2024-08-30T10:19:39.571097601Z"
}
Received message {
  "value": "59616.3",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "index_price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:48.040708744Z",
  "tsEvent": "2024-08-30T10:19:49.149310575Z"
}
Received message {
  "value": "792.1",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.192451006Z"
}
Received message {
  "value": "59604",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "ask",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.192734011Z"
}
Received message {
  "value": "59603.9",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "price",
  "commodityKind": "SDICK_PRICE",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.193612798Z"
}
Received message {
  "value": "11536472.4",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "24h_volume",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.193960504Z"
}
Received message {
  "value": "385.6",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid_amount",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.194482596Z"
}
Received message {
  "value": "59603.9",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "bid",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.093288709Z",
  "tsEvent": "2024-08-30T10:19:49.195021257Z"
}
Received message {
  "value": "-0.0000001014222837",
  "legacySymbol": "btcusdtswap",
  "exchange": "okex",
  "commodity": "funding_rate",
  "commodityKind": "SDICK_RISK",
  "tsCollection": "2024-08-30T10:19:48.053370002Z",
  "tsEvent": "2024-08-30T10:19:49.230789712Z"
}

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